Please see below issued by the Manager today with a Portfolio Update as at 31 December 2019:

Dear Shareholder,

EEA Life Settlements Fund PCC Limited (the “Fund”)

Portfolio Update as at 31 December 2019

At the reporting date of 31 December 2019, the Fund held 72 life insurance policies with a total net death benefit of $272 million. The average policy size (net death benefit) was approximately US$3.8 million. The portfolio covered 29 illnesses, 49 lives and 27 insurance companies. Based upon weighted net death benefit, 88.4% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 92.49 years.

At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2019 of $62.8 million (but with a range of between $26.4 million and $113.1 million). In 2019, there were sixteen reported maturities with a total net death benefit of $50.05 million. Although within the projected range, this level of maturities was behind expectations throughout the year.

The NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 1.14% to 1.28% depending on the Cell. This small increase resulted from a combination of an increased level of maturities, LE updates and reductions in the discount rate.

The effect of currency movements on the non USD-denominated Cells over the last quarter were on average around -7.06% (GBP), -2.75% (EUR) and -4.67% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -5.74% to -6.05%), the EUR-denominated Cells (range -1.52% to -1.63%) and the SEK-denominated Cells (range -3.43% to -3.56%) all decreased over the quarter.

During the quarter to the end of December 2019, the level of Net Death Benefit payments was below expectations. As a result, there was a limited build-up of Available Cash and, in consequence, with the exception of the WAY Life Settlements Cell, there were no redemptions of shares in any Cells.

I will write to you again in around three months’ time with a further update on the Fund.

Yours faithfully, Martyn Roussel Director, EEA Fund Management (Guernsey) Limited